Now click on this new object and you will be able to make the relevant changes.i.e. In the panel Visual Environment you can switch to HDR Sky.

Click on the "Add component Overrides" button to add an entry for an HDR sky menu because it is not there by default.

In the Scene Settings, among other things, you can also select a different light-baking sky than the one that shows in your scene, which gives you additional control to your lighting as it happens in classic Offline rendering.